Yeah, Wifi can be a pretty big pain in the... behind.
There can be any number of reasons why your wifi isn't working. Here is my procedure for "quick fixes". If one step doesn't work, go to the step below.
1. Disconnect and Reconnect.
2. Repair your connection. Just right click the wifi and click "repair".
3. Turn off and Turn back on your modem.
4. Reset your router.
If all of these fail, then you've likely got a real problem.
By the sounds of it, it's not letting you connect at all - I know it's a stupid thing, but make sure your getting that password in absolutely correct.
If that fails, make sure that the router isn't transmitting in a type incompatible with yours. Routers give you an option to broadcast ONLY in "g" or "n" (or whichever letter matches it's highest type) - If that's turned on and your laptop's adapter is of a lower letter, it's not gonna work.
Get us a more detailed error message (word for word it) and it'll be easier to help us fix your problem.